Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0112 |
| Annualized Std Dev | 0.1857 |
| Annualized Sharpe (Rf=0%) | -0.0601 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1582 |
| Quartile 1 | -0.0051 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1130 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0117 |
| Skewness | -0.8935 |
| Kurtosis | 16.6597 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0098 |
| Downside Deviation (MAR=210%) | 0.0135 |
| Downside Deviation (Rf=0%) | 0.0086 |
| Downside Deviation (0%) | 0.0086 |
| Maximum Drawdown | 0.7068 |
| Historical VaR (95%) | -0.0162 |
| Historical ES (95%) | -0.0287 |
| Modified VaR (95%) | -0.0181 |
| Modified ES (95%) | -0.0385 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-11-24 | 2020-03-23 | NA | -0.7068 | 4108 | 3857 | NA |
| 2003-12-15 | 2004-05-11 | 2004-11-17 | -0.2623 | 234 | 102 | 132 |
| 1999-02-12 | 2000-11-30 | 2003-03-05 | -0.2584 | 1018 | 455 | 563 |
| 2003-07-07 | 2003-08-25 | 2003-10-24 | -0.1347 | 79 | 36 | 43 |
| 2003-03-07 | 2003-03-24 | 2003-05-13 | -0.0734 | 47 | 12 | 35 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | -1.2 | -0.6 | -1.2 | 0 | -1.2 | -1.2 | -1.8 | 0 | -0.7 | -7.6 |
| 2000 | 0.7 | 0 | 0.7 | 0 | 0 | -0.7 | 0 | 1.4 | -1.4 | 0 | 0.8 | 1.4 | 2.8 |
| 2001 | 0.4 | 0 | -0.6 | 0.1 | -0.3 | 0 | -0.1 | 0 | 0.1 | -0.2 | -0.1 | -0.6 | -1.3 |
| 2002 | -0.2 | -0.3 | -0.3 | 0.3 | -0.6 | -1.6 | 0.2 | 1.2 | -1.4 | 0.2 | 0.1 | -0.6 | -3.1 |
| 2003 | -0.6 | -0.1 | 0.2 | 0.8 | -0.9 | 1 | -1.7 | 0.9 | -0.1 | 2.5 | -1.1 | 1.9 | 2.9 |
| 2004 | 0.5 | 0.1 | 0.9 | -0.7 | -0.2 | 0.1 | 1.4 | -1.4 | 0.4 | 1.2 | -0.6 | -0.5 | 1.2 |
| 2005 | 0.5 | -1.3 | 0.8 | 0.6 | -0.3 | -0.9 | -0.4 | 2.1 | 0.3 | 0.3 | 0 | 0.3 | 1.9 |
| 2006 | 0.5 | -0.7 | 0.2 | 0.5 | -0.1 | -0.2 | 0.1 | -0.4 | 0.2 | 0.2 | 0.5 | -0.4 | 0.4 |
| 2007 | -0.8 | -0.2 | -0.5 | -0.5 | 0.1 | 0.5 | -0.1 | 0.8 | -0.2 | -0.5 | 1.3 | 0.2 | 0.1 |
| 2008 | 0.2 | -0.4 | 0.7 | 0.7 | -0.2 | -0.3 | -0.3 | -0.6 | 1.7 | -2.4 | -6.3 | 1.9 | -5.4 |
| 2009 | 0.8 | -2.1 | 1.6 | 0.9 | 0.6 | 0.9 | 0.2 | -0.7 | -0.7 | -0.9 | 0.6 | 0.6 | 1.8 |
| 2010 | -0.4 | 1.3 | 0.5 | -0.4 | 0.2 | -0.7 | -0.2 | 1.2 | -0.2 | 0.2 | 0.2 | 0.4 | 2.1 |
| 2011 | 0.8 | -0.3 | 0.5 | -0.7 | 0.4 | 0.4 | 0.6 | 0.4 | -4.2 | -1 | 1.7 | 1.2 | -0.5 |
| 2012 | 0.6 | 1.6 | 1 | 0.4 | -0.7 | 0.1 | 0 | 0.2 | 0.7 | -0.2 | -0.3 | -0.4 | 3.2 |
| 2013 | 0 | 0.2 | 0.1 | 0.2 | -2 | 0.4 | -0.7 | -0.1 | 0.6 | -0.4 | -0.2 | 0.5 | -1.4 |
| 2014 | -0.5 | 0.4 | 0.1 | 0 | 0.1 | 0 | -0.7 | 0.8 | 0.5 | -0.6 | -1.2 | 0.6 | -0.5 |
| 2015 | -1.3 | 0.4 | 0.6 | -0.3 | 0.2 | 0.1 | 0.2 | 0.1 | -0.5 | 0.4 | 2.9 | -0.5 | 2.4 |
| 2016 | 0.3 | 1.8 | 1.1 | -0.7 | 0.4 | 1.2 | 0.7 | 0 | -0.2 | -0.6 | -0.5 | 0 | 3.4 |
| 2017 | 0.1 | -0.4 | -1.4 | 0.5 | 0.2 | 0.2 | 0.1 | 1.6 | -0.4 | 0 | -0.1 | -1.1 | -0.8 |
| 2018 | 1.1 | -1.1 | 0.6 | -0.7 | 0.2 | 0.1 | 0.5 | -0.2 | 0.9 | 2.7 | -0.5 | 0.3 | 3.9 |
| 2019 | 0.9 | 0.1 | 0.5 | 0.5 | 0 | -0.7 | -0.3 | -0.6 | 0.3 | 0.5 | -1.3 | 0.9 | 0.6 |
| 2020 | -1.1 | -3.6 | -1.8 | -0.7 | 1.4 | 1.4 | 0.4 | 2 | -2 | 0.3 | 0.1 | -1.1 | -4.9 |
| 2021 | 1.1 | 1.4 | 2.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
